Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms - 3IA Côte d’Azur – Interdisciplinary Institute for Artificial Intelligence
Article Dans Une Revue Journal of Applied Probability Année : 2023

Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms

Résumé

Abstract We propose a new Kalikow decomposition for continuous-time multivariate counting processes, on potentially infinite networks. We prove the existence of such a decomposition in various cases. This decomposition allows us to derive simulation algorithms that hold either for stationary processes with potentially infinite network but bounded intensities, or for processes with unbounded intensities in a finite network and with empty past before zero. The Kalikow decomposition is not unique, and we discuss the choice of the decomposition in terms of algorithmic efficiency in certain cases. We apply these methods to several examples: the linear Hawkes process, the age-dependent Hawkes process, the exponential Hawkes process, and the Galves–Löcherbach process.
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Dates et versions

hal-04749518 , version 1 (23-10-2024)

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Tien Cuong Phi, Eva Löcherbach, Patricia Reynaud-Bouret. Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms. Journal of Applied Probability, 2023, 60 (4), pp.1469-1500. ⟨10.1017/jpr.2023.15⟩. ⟨hal-04749518⟩
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